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世纪之龙5 · 2024年03月15日

ab是什么意思

  1. FRM II
  2. Market Risk Measurement And Management

NO.PZ2020033001000073

问题如下：

Which of the following statements is an advantage of the CIR model?

选项：

A.

During periods of high inflation, basis-point volatility decreases.

B.

Interest rates are always non-negative.

C.

Out-of-the money option prices may differ with the use of normal or lognormal distributions.

D.

Long-run interest rates may not hover around a mean-reverting level.

解释：

B is correct.

考点：CIR model

解析：

A. Basis-point volatility increases during periods of high inflation.

C. It is a disadvantage of CIR model.

D. CIR model is a mean-reverting model.

如题

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2 个答案

品职答疑小助手雍 · 2024年03月16日

A：看CIR的公式，波动项有r，即波动会随着r变大而变大。

B：我们细分一下，当短期利率降到0（或者接近0）的时候，根据CIR的公式你会发现：

均值复归项会是一个正值，而后面的波动项是要乘以根号r的，根号r等于0或者接近0，所以下一个阶段利率必定上升。

所以整个公式细分下来不会降到0以下。

品职答疑小助手雍 · 2024年03月16日

同学你好，A的意思是CIRmodel下，模型的利率波动的绝对数值会不断变小。

B的意思是CIRmodel下，模型的利率不会出现负值。

世纪之龙5 · 2024年03月16日

为什么呢

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